Identification of New Keynesian Phillips Curves from a Global Perspective
针对新凯恩斯菲利普斯曲线估计中的弱工具变量和稳态刻画问题，提出用全球向量自回归模型估计稳态并构建全球工具变量，对八个发达工业国家的数据进行了实证，发现全球工具变量能提高估计精度。
This paper is concerned with the estimation of New Keynesian Phillips Curves (NKPC) and focuses on two issues: the weak instrument problem and the characterization of the steady states. It proposes some solutions from a global perspective. Using a global vector autoregressive (GVAR) model steady states are estimated as long‐horizon expectations and valid instruments are constructed from the global variables as weighted averages. The proposed estimation strategy is illustrated using estimates of the NKPC for eight developed industrial countries. The GVAR generates global factors that are valid instruments and help alleviate the weak instrument problem. The steady states also reflect global influences and any long‐run theoretical relationships that might prevail within and across countries in the global economy. The GVAR measure of the steady state performed better than the HP measure, and the use of foreign instruments substantially increased the precision of the estimates of the output coefficient.